Earning Response Coefficient (ERC) in Tehran Bourse

Subject Areas : Financial Knowledge of Securities Analysis

حمیدرضا  وکیلی فرد ¹ (ندارد)
علی  سعیدی ² (ندارد)
اکبر  افتخاری علی آبادی ³ (مسئول مکاتبات)

Received: 2012-08-25 Accepted : 2013-01-01 Published : 2013-09-11

Keywords: ERC, Over &amp, Under reaction, EPS,

Abstract :

Researches about the relation between Return and EPS since 30 years ago, mentionthat Return is affected by Earning and information related to it.Several researches have studied the relationship between return (as dependentvariable) and earning (as independent variable), using regression model. Someresearchers have reported a distinct coefficient in regression analysis when they studiedthe effect of unexpected annual earning as independent variable on abnormal return asrelated variable. In this research, the effect of DPS on return is considered and measured,in high and low return companies in Tehran Stock Exchange, in 2006&2010.Our evaluations through 5 hypothesis showed that the market didn't have any over orunder reaction versus good or bad news.In the other hand, market reaction was not emotional. The results of this researchdetected a considerable difference between ERCs in high-return and low-returncompanies. But they didn't approve any significant relationship between news and marketreaction; except for relationship between bad news and market reaction just in low returncompanies. It means that the market under reacted only versus bad news related to lowreturncompanies.

References:

فهرست منابع
1) هیبتی، فرشاد و نیکومرام، هاشم و موسوی،
سیدرضا، ( 1390 )، تئوری مالی، انتشارات
پژوهشکده اموراقتصادی، تهران.
بررسی ضریب واکنش به سود در بورس اوراق بهادار تهران
فصلنامه علمی پژوهشی دانش مالی تحلیل اوراق بهادار / شماره هجدهم 123
( 2) نیکومرام ، هاشم و سعیدی ، علی، ( 1387
اندازهگیری عکسالعمل رفتاری سرمایه گذاران
در بازار سهام، جستارهای اقتصادی.
3) خلیلی شورینی سیاوش، ( 1385 )، روشهای
تحقیق در علوم انسانی ، انتشارات یادواره
کتاب، تهران، 1385
Cheng Fan-fah&AnnuarNasir, " The (4
Effect of Financial Risks on the Earning
Response in Australia Bank Stocks",
Journal of Money , Investment and
Banking , 2008 , Issue 6 , pp.17-27
Yeo Hwan Kim & Roger J.Willett&Jee In (5
Jang , Default Risk as a Factor affecting
the Earning Response Coefficient,
ssrn.com, September 2006
Dennis J. Chambers &Robert N. Freeman (6
& Adam S.Koch, "The Effect of Risk on
Price Responses to Unexpected Earning"
July 2004
XiaoyanChenng& Aaron Crabtree & (7
David B. Smith , "The Effects of
Backdating on Earning Response
Coefficients" , ssrn.com, December 14,
2007
Taylor-Powell, E., “Sampling” Program (8
Development and Evaluation, University
of Wisconsin Extension. G3658-3, 1998